ETH-15min-vs-1h.2022 1 Jan, 2022 - 22 Aug, 2022
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围观实盘： FMZ ， 币coin
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以下是详细performance report，按月份统计的收益在倒数第二个图表（2022年至今每月正收益）， 最大回测统计在页面的右下角的“Worst 10 Drawdowns”。
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 24.0% |
| Cumulative Return | 1,439.15% |
| CAGR﹪ | 7142.78% |
| Sharpe | 1.24 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.23 |
| Sortino | 2.41 |
| Smart Sortino | 2.38 |
| Sortino/√2 | 1.7 |
| Smart Sortino/√2 | 1.68 |
| Omega | 1.58 |
| Max Drawdown | -4.39% |
| Longest DD Days | 5 |
| Volatility (ann.) | 3.65% |
| Calmar | 1625.54 |
| Skew | 5.62 |
| Kurtosis | 142.45 |
| Expected Daily | 0.01% |
| Expected Monthly | 40.74% |
| Expected Yearly | 1439.15% |
| Kelly Criterion | 16.93% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.3% |
| Expected Shortfall (cVaR) | -0.3% |
| Max Consecutive Wins | 8 |
| Max Consecutive Losses | 6 |
| Gain/Pain Ratio | 14.04 |
| Gain/Pain (1M) | - |
| Payoff Ratio | 1.84 |
| Profit Factor | 1.58 |
| Common Sense Ratio | 2.44 |
| CPC Index | 1.34 |
| Tail Ratio | 1.55 |
| Outlier Win Ratio | 18.92 |
| Outlier Loss Ratio | 2.6 |
| MTD | 17.93% |
| 3M | 267.31% |
| 6M | 784.18% |
| YTD | 1439.15% |
| 1Y | 1439.15% |
| 3Y (ann.) | 7142.78% |
| 5Y (ann.) | 7142.78% |
| 10Y (ann.) | 7142.78% |
| All-time (ann.) | 7142.78% |
| Best Day | 7.0% |
| Worst Day | -3.56% |
| Best Month | 68.73% |
| Worst Month | 14.8% |
| Best Year | 1439.15% |
| Worst Year | 1439.15% |
| Avg. Drawdown | -0.61% |
| Avg. Drawdown Days | 0 |
| Recovery Factor | 327.52 |
| Ulcer Index | 0.01 |
| Serenity Index | 159.17 |
| Avg. Up Month | 41.85% |
| Avg. Down Month | - |
| Win Days | 46.13% |
| Win Month | 100.0% |
| Win Quarter | 100.0% |
| Win Year | 100.0% |
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2022 | 277.45% | 1439.15% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2022-06-17 | -4.39 | 1 |
| 2022-05-08 | 2022-05-10 | -4.01 | 1 |
| 2022-07-16 | 2022-07-18 | -3.98 | 1 |
| 2022-07-19 | 2022-07-20 | -2.98 | 1 |
| 2022-06-12 | 2022-06-13 | -2.93 | 1 |
| 2022-01-22 | 2022-01-23 | -2.89 | 1 |
| 2022-08-15 | 2022-08-20 | -2.82 | 5 |
| 2022-02-23 | 2022-02-24 | -2.73 | 1 |
| 2022-05-10 | 2022-05-11 | -2.71 | 0 |
| 2022-03-02 | 2022-03-07 | -2.70 | 4 |
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